Market Structure Reports

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Let There Be Light - European Edition

January 27, 2021

(December)

• The 27 venues we track executed 17.03% of pan-European on-venue turnover in September, up 6 bps m/m (+174 bps y/y)

• ELP SIs (+16 bps) and dark MTFs (+6 bps) both gained market share last month. Periodic auctions (-15 bps) lost share

• Together, the venues in our universe executed €6.86 billion per day, down 27.8% m/m/ (+8.89& y/y). Total on-venue trading, including displayed activity, fell 28.05% m/m (-2.25% y/y) to €40.3 billion. Our universe accounted for 11.13% of consolidated turnover, including on-venue and OTC, down 53 bps m/m

• MTFs report a smooth post-Brexit shift of EU stock trading from London to the continent

• London venues prepare to readmit Swiss shares

• Euronext Block continues revamp with new targeted IOI feature

Year-in-Review Section

• Dark MTFs, periodic auctions and ELP SIs all picked up market share in 2020

• MiFID II dark-pool caps became less effective throughout the year

• Block venues remain high, climbing to one-third of overall dark pool activity

• Cboe Europe’s periodic auction becomes the largest venue in our universe; Turquoise Plato remains the largest dark MTF

• ELP SIs continue to jostle for position, with XTX Markets and Citadel Securities vying for the top spot by volume

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